private IEnumerable<DenseVector> LogReturns(Normal normal)
{
var variances = Variances();
foreach(var variance in variances)
{
var stdev = Math.Sqrt(variance);
var drift = -0.5 * variance;
var returns = new DenseVector(N);
for (int i = 0; i < N; i++)
returns[i] = Math.Exp( normal.Sample() * stdev + drift );
returns /= returns.Average();
yield return returns;
}
}
